Nah, they all know they died already, and with regrets. This world in-between they now inhabit seems pretty static, though filled with possibilties - a perfect place to try time after time to come to terms with those regrets and move on. Yet nobody could say it's a second chance and trying to disappear would be choosing death over life.

Although it's perfectly possible somebody might immensely like that world and desires to remain there for a long time. Although that makes me wonder if such a person couldn't accidentally find happiness in that - and disappear. Otherwise it would be just carrying regrets and possibly anger from one day to the next.